In fact, it is possible to observe conditional heteroscedasticity even when dealing with a sequence of unconditional homoscedastic random variables; however, the opposite does not hold.
22.
Integrated Generalized Autoregressive Conditional heteroscedasticity I GARCH is a restricted version of the GARCH model, where the persistent parameters sum up to one, and imports a unit root in the GARCH process.
23.
More precisely, the OLS estimator in the presence of heteroscedasticity is asymptotically normal, when properly normalized and centered, with a variance-covariance matrix that differs from the case of homoscedasticity.
24.
When \ scriptstyle \ boldsymbol \ Sigma is the identity matrix ( such that there is no correlation or heteroscedasticity ), the model is called "'independent probit " '.
25.
He is noted for the Breusch Pagan test from the paper ( with Adrian Pagan ) " A simple test for heteroscedasticity and random coefficient variation " ( see Noted works, below ).
26.
If the Breusch Pagan test shows that there is conditional heteroskedasticity, one could either use weighted least squares ( if the source of heteroskedasticity is known ) or use heteroscedasticity-consistent standard errors.
27.
In statistics, the "'Glejser test "'for heteroscedasticity, developed by Herbert Glejser, regresses the residuals on the explanatory variable that is thought to be related to the heteroscedastic variance.
28.
There exists also a version of the F test that is robust against heteroscedasticity; it takes, however, a different form and cannot be computed via the RSS, but needs a robust variance-covariance matrix.
29.
The econometrician Robert Engle won the 2003 Nobel Memorial Prize for Economics for his studies on regression analysis in the presence of heteroscedasticity, which led to his formulation of the autoregressive conditional heteroscedasticity ( ARCH ) modeling technique.
30.
The econometrician Robert Engle won the 2003 Nobel Memorial Prize for Economics for his studies on regression analysis in the presence of heteroscedasticity, which led to his formulation of the autoregressive conditional heteroscedasticity ( ARCH ) modeling technique.
